Allin,
I have been building some examples about heteroskedasticity data with gretl.
I had two variables whose linear relationship had hetero. and so I regressed
y on x using 1/sqrt(x) as weigths. Then, I suspected that the residuals were
heteroskedastic yet, so I tried to do some testing on them.
Firstly, I cannot do a LM test on the WLS regression (¿Why not? umm I have to
think a while about it ... I know that the regressor now is xt*wt, and so
the test may have a different interpretation, but ... may have any sense in
this case, ¿or not?).
Secondly, as I did not have the test, I saved the WLS residuals an regressed
them over a constant (by OLS), so I had a window model, and the
heteroskedasticity test was active in the corresponding menu. I selected this
and ... gretl exited!!, and saving anything. In fact I have seen that
regressing any variable over a constant, the same occurs. I understand that
the Hetero. test runs a regression of the residuals over the regressors and
their squares, and so in this case there were no regressors, but I think
Gretl should act in another form. For example in this case gretl may ask for
a variable, or use the index ...
--
Ignacio Díaz-Emparanza
Dpto. de Economía Aplicada III (Econometría y Estadística)
UPV-EHU
http://www.bl.ehu.es/~etpdihei/